We design and implement a dynamic program (DP) for valuing corporate securities, seen as derivatives on a firm's assets, and computing the term structure o...

First-generation R&D-based endogenous growth models have been criticized because they predict strong scale effects (growth rate proportional to the size of...

We propose a new numerical method for evaluating long-maturity American put options. Most existing numerical approaches are based on the time discretization...

This paper studies a districting problem which arises in the context of financial product pricing. The challenge lies in partitioning a set of small geogra...

We propose a stochastic dynamic program for valuing options on stock-index futures. The model accounts for deterministic, seasonally varying dividends gene...

We consider a differential game with a corrupt government and civil society as its players. We characterize open-loop and feedback Nash equilibria and find...

The aim of this paper is to compute upper and lower bounds for convex value functions of derivative contracts. Laprise et al. (2006) compute bounds for Ame...

This paper presents a framework in which many structural credit risk models can be made hybrid by randomizing the default trigger, while keeping the capita...

We develop a flexible discrete-time hedging methodology that miminizes the expected value of any desired penalty function of the hedging error within a gener...

In this paper, we derive and empirically test a regime-shifting dynamic term structure model for pricing interest rate caps. The central state variables are...

This paper develops a dynamic risk management model to determine a firm's optimal risk management strategy. This strategy has two elements: first, for low ...

We consider a duopoly competing in quantity, where firms can invest in both innovative and absorptive R&D to reduce their unit production cost, and where t...

It is shown that parametric bootstrap can be used for computing P-values of goodness-of-fit tests of multivariate time series parametric models. These mo...

The sophisticated and automated means of data collection used by an increasing number of institutions and companies leads to extremely large datasets. Sub...

We explore the role of the discount on closed-end funds (CEFD) in asset pricing and weakly tests its validity as a proxy for sentiment in the Canadian stock ...

This paper provides a general procedure for pricing American- and European-style interest rate derivatives within multifactor affine term structure models....

The risk-adjusted selection and timing performance (alphas and gammas) of a comprehensive and survivorship-free sample of Canadian equity SRI funds after (be...

This paper presents a framework where many existing structural credit risk models can be made hybrid by using a transformation of leverage to define the defa...

This paper develops a dynamic model to determine a firm's optimal risk management strategy when it faces uncertainty about its future profitability and inves...

Large datasets upon which classical statistical analysis cannot be performed because of the curse of dimensionality are more and more common in many research...